Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe

DOI10.1007/S11147-018-9148-8zbMath1415.91263OpenAlexW2531561409MaRDI QIDQ2423926

Benjamin Hippert, André Uhde, Sascha Tobias Wengerek

Publication date: 21 June 2019

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-018-9148-8

zbMATH Keywords

portfolio performance evaluationcorporate credit default swap indicesmean-variance asset allocationout-of-sample portfolio optimizationportfolio risk-diversification

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Uses Software

• SDPT3

Cites Work

• Solving semidefinite-quadratic-linear programs using SDPT3
• Computing efficient frontiers using estimated parameters
• Portfolio diversification in the sovereign credit swap markets

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